Modelling volatility asymmetries : a Bayesian analysis of a class of tree structured multivariate GARCH models
P. Dellaportas and I. D. Vrontos
| Year of publication: |
2007
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|---|---|
| Authors: | Dellaportas, P. ; Vrontos, I. D. |
| Published in: |
The econometrics journal. - Oxford : Oxford University Press, ISSN 1368-4221, ZDB-ID 1412265-0. - Vol. 10.2007, 3, p. 503-520
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| Subject: | ARCH-Modell | ARCH model | Bayes-Statistik | Bayesian inference | Markov-Kette | Markov chain | Volatilität | Volatility | Finanzmarkt | Financial market |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10003637597